Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0055
Annualized Std Dev 0.1457
Annualized Sharpe (Rf=0%) -0.0374

Row

Daily Return Statistics

Close
Observations 5572.0000
NAs 1.0000
Minimum -0.1421
Quartile 1 -0.0035
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0038
Maximum 0.1691
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0092
Skewness -0.3582
Kurtosis 56.4731

Downside Risk

Close
Semi Deviation 0.0067
Gain Deviation 0.0071
Loss Deviation 0.0080
Downside Deviation (MAR=210%) 0.0117
Downside Deviation (Rf=0%) 0.0067
Downside Deviation (0%) 0.0067
Maximum Drawdown 0.5811
Historical VaR (95%) -0.0116
Historical ES (95%) -0.0214
Modified VaR (95%) -0.0055
Modified ES (95%) -0.0055
From Trough To Depth Length To Trough Recovery
1999-01-15 2008-10-10 2012-10-08 -0.5811 3440 2434 1006
2012-11-02 2020-03-18 NA -0.3985 2109 1855 NA
1999-01-05 1999-01-07 1999-01-14 -0.0154 8 3 5
2012-10-18 2012-10-19 2012-10-26 -0.0144 7 2 5
2012-10-09 2012-10-11 2012-10-15 -0.0055 5 3 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.8 0.4 0 0.4 0 0 0.9 0.5 0 0 -2.1 -1.1 -1.8
2000 0.5 -1.6 1.1 3.8 0.5 0.5 0 -0.5 1.5 2.1 2 1.4 11.9
2001 1 -0.1 -0.1 0.6 -0.2 0 0 0.1 0.3 0.6 0 0.4 2.5
2002 0.3 0.1 0 0.2 0.4 1.3 -1 0.4 -0.2 -0.6 0.3 0.5 1.9
2003 0.3 0.3 -0.7 -0.1 0.3 0.5 -3.1 0.1 0.3 0.1 -0.1 1 -1.3
2004 -0.1 0.5 0.3 0.5 0.7 0.4 0.7 -0.5 0.8 0.1 -1.2 0.1 2.4
2005 -0.1 0.2 0.3 0.2 0.6 -0.8 -0.6 0.5 -0.3 -0.2 0.3 0.1 0.3
2006 -0.1 0.4 -0.2 -0.6 0.8 0.4 0.4 -0.1 0.2 -0.3 0.3 0.7 2
2007 0.1 0.3 0.3 0.2 -0.7 0.8 0.9 0.2 0.1 -0.2 0.2 1.1 3.3
2008 0.2 -1.9 0.5 0.2 -0.4 0.2 0 -0.2 1.8 -0.7 -1.6 3.6 1.5
2009 -0.3 0.2 0.6 -0.2 -0.4 -0.1 0.3 1.1 0.4 -0.7 0.1 -0.1 1.1
2010 0.4 1 -0.3 0.1 0.4 0.1 1 0.4 0.5 0 -1.4 1.7 4
2011 0.5 0.8 0.5 0.5 0.5 0.7 1.9 0.3 0.8 0.3 0.9 0 7.9
2012 0.7 0.3 0 0.8 0.1 0.1 0.8 0.1 0 0 -0.1 0.4 3.3
2013 0.2 0.6 0.2 0.3 -2.3 0.4 -0.8 0.1 0.2 -0.6 -0.2 0.1 -1.8
2014 -0.1 -0.1 -0.5 0.7 -0.2 -0.4 -0.1 0 0.7 0.1 0.1 0.1 0.4
2015 0.5 0.8 0.1 -0.5 -0.1 0.1 0.2 0 0.4 0 0.2 0.5 2.2
2016 0 0.1 0.6 0.2 0.8 0 -0.7 0.7 -0.1 0.1 -0.9 0.1 0.9
2017 -0.3 0 -0.1 0.2 0.3 0.1 1.2 0.3 -0.4 0.1 0.2 0.3 1.7
2018 0.1 -0.5 0.4 -0.1 0.1 0.6 0.1 0.2 -0.4 0.5 0.2 1.4 2.6
2019 0.4 0.5 0.2 1.2 0 1.5 0.2 -0.2 0.1 0.4 -0.7 -0.1 3.6
2020 0.2 -5.5 -4.3 0.8 1.3 0.2 0.6 0.2 0.5 0.1 1.9 0.4 -3.8
2021 0.2 0 -0.1 NA NA NA NA NA NA NA NA NA 0

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  16.2 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  16.1 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  16.1 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  16   SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  16   SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  16.1 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart